| Metric | EQW | ^DJI | SPY | MV (100d) | BL (100d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 94.0% | 99.0% |
| Cumulative Return | 703.05% | 325.25% | 545.36% | 328.23% | 696.09% |
| CAGR﹪ | 8.65% | 5.93% | 7.7% | 5.96% | 8.61% |
| Sharpe | 0.54 | 0.4 | 0.48 | 0.41 | 0.59 |
| Prob. Sharpe Ratio | 99.65% | 97.82% | 99.16% | 97.94% | 99.83% |
| Smart Sharpe | 0.5 | 0.38 | 0.44 | 0.38 | 0.55 |
| Sortino | 0.76 | 0.57 | 0.68 | 0.57 | 0.83 |
| Smart Sortino | 0.71 | 0.53 | 0.63 | 0.53 | 0.77 |
| Sortino/√2 | 0.54 | 0.4 | 0.48 | 0.41 | 0.58 |
| Smart Sortino/√2 | 0.5 | 0.37 | 0.44 | 0.38 | 0.54 |
| Omega | 1.11 | 1.08 | 1.09 | 1.08 | 1.12 |
| Max Drawdown | -52.53% | -53.78% | -55.19% | -51.15% | -46.3% |
| Max DD Date | 2009-03-09 | 2009-03-09 | 2009-03-09 | 2003-03-11 | 2009-03-09 |
| Max DD Period Start | 2007-10-15 | 2007-10-10 | 2007-10-10 | 2000-03-28 | 2007-12-11 |
| Max DD Period End | 2011-02-15 | 2013-03-04 | 2012-08-15 | 2013-10-17 | 2011-02-10 |
| Longest DD Days | 1233 | 2450 | 2404 | 4952 | 1270 |
| Volatility (ann.) | 18.49% | 18.54% | 19.52% | 18.25% | 16.28% |
| Calmar | 0.16 | 0.11 | 0.14 | 0.12 | 0.19 |
| Skew | -0.23 | -0.11 | -0.01 | -0.19 | -0.37 |
| Kurtosis | 11.25 | 12.25 | 11.16 | 10.83 | 13.98 |
| Expected Daily | 0.03% | 0.02% | 0.03% | 0.02% | 0.03% |
| Expected Monthly | 0.69% | 0.48% | 0.62% | 0.48% | 0.69% |
| Expected Yearly | 8.02% | 5.51% | 7.15% | 5.53% | 7.99% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -1.88% | -1.89% | -1.99% | -1.86% | -1.65% |
| Expected Shortfall (cVaR) | -3.33% | -3.33% | -3.33% | -3.33% | -3.33% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.11 | 1.08 | 1.09 | 1.08 | 1.12 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.96 | 0.96 | 0.92 | 0.93 | 0.95 |
| Outlier Win Ratio | 4.04 | 3.98 | 3.82 | 4.28 | 4.67 |
| Outlier Loss Ratio | 3.93 | 4.01 | 3.7 | 3.78 | 4.41 |
| MTD | 4.06% | 2.57% | 5.17% | 4.49% | 3.88% |
| 3M | 9.22% | 10.94% | 12.06% | 11.85% | 11.66% |
| 6M | 11.55% | 14.12% | 16.79% | 9.55% | 12.2% |
| YTD | 3.77% | 3.83% | 6.85% | 8.0% | 5.82% |
| 1Y | 17.82% | 18.42% | 29.36% | 24.61% | 12.77% |
| 3Y (ann.) | 9.62% | 6.31% | 10.76% | 10.63% | 8.35% |
| 5Y (ann.) | 12.6% | 9.1% | 14.72% | 16.58% | 13.17% |
| 10Y (ann.) | 10.92% | 9.29% | 12.72% | 9.61% | 11.68% |
| All-time (ann.) | 8.65% | 5.93% | 7.7% | 5.96% | 8.61% |
| Best Day | 11.19% | 11.37% | 14.52% | 11.73% | 9.82% |
| Worst Day | -11.95% | -12.93% | -10.94% | -13.81% | -13.32% |
| Best Month | 13.04% | 13.95% | 12.7% | 15.44% | 12.46% |
| Worst Month | -16.39% | -14.06% | -16.52% | -18.16% | -13.4% |
| Best Year | 30.86% | 26.5% | 32.31% | 40.91% | 33.0% |
| Worst Year | -34.26% | -33.84% | -36.79% | -33.37% | -27.7% |
| Avg. Drawdown | -2.22% | -2.3% | -2.03% | -3.25% | -1.94% |
| Avg. Drawdown Days | 28 | 45 | 32 | 74 | 26 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.11 | 0.14 | 0.17 | 0.21 | 0.11 |
| Serenity Index | 0.69 | 0.41 | 0.47 | 0.27 | 0.59 |
| Avg. Up Month | 3.76% | 3.5% | 3.79% | 3.58% | 3.52% |
| Avg. Down Month | -4.23% | -4.28% | -4.45% | -4.15% | -3.66% |
| Win Days | 54.65% | 53.14% | 54.27% | 53.16% | 54.83% |
| Win Month | 63.37% | 60.73% | 62.71% | 60.42% | 64.98% |
| Win Quarter | 72.55% | 64.71% | 70.59% | 61.62% | 75.0% |
| Win Year | 77.78% | 66.67% | 77.78% | 76.92% | 80.77% |
| Year | EQW | ^DJI | SPY | MV (100d) | BL (100d) |
|---|---|---|---|---|---|
| 1998 | 1.14 | -0.21 | 0.09 | 0.00 | 0.00 |
| 1999 | 16.53 | 23.80 | 20.19 | 28.55 | 0.67 |
| 2000 | 3.63 | -4.22 | -7.41 | 7.34 | 14.66 |
| 2001 | -4.84 | -5.12 | -10.11 | -21.99 | -10.73 |
| 2002 | -16.76 | -15.11 | -20.83 | -21.80 | -17.28 |
| 2003 | 26.32 | 23.95 | 26.20 | 16.67 | 23.38 |
| 2004 | 13.88 | 3.69 | 10.78 | 17.03 | 14.88 |
| 2005 | 8.13 | -0.08 | 5.25 | 11.26 | 5.09 |
| 2006 | 15.60 | 15.58 | 15.21 | 3.06 | 14.28 |
| 2007 | 10.41 | 7.29 | 6.28 | 3.81 | 11.58 |
| 2008 | -34.59 | -34.13 | -37.36 | -36.77 | -28.29 |
| 2009 | 29.39 | 20.17 | 26.93 | 14.61 | 20.35 |
| 2010 | 16.55 | 11.76 | 15.63 | 11.39 | 15.03 |
| 2011 | 5.72 | 7.59 | 4.53 | 18.16 | 8.09 |
| 2012 | 14.42 | 7.69 | 15.64 | 3.32 | 15.38 |
| 2013 | 27.51 | 24.03 | 28.62 | 22.72 | 29.13 |
| 2014 | 13.12 | 7.84 | 13.27 | 9.03 | 16.47 |
| 2015 | 0.18 | -1.07 | 2.41 | -9.16 | 2.85 |
| 2016 | 13.25 | 13.38 | 12.18 | 4.86 | 11.55 |
| 2017 | 17.07 | 22.61 | 19.88 | 12.05 | 16.15 |
| 2018 | -5.74 | -4.20 | -3.23 | -4.55 | -5.75 |
| 2019 | 25.63 | 20.94 | 27.97 | 14.45 | 24.73 |
| 2020 | 16.52 | 13.82 | 22.47 | 41.62 | 26.65 |
| 2021 | 26.88 | 17.94 | 26.11 | 23.26 | 26.58 |
| 2022 | -8.85 | -7.24 | -17.13 | -2.27 | -6.62 |
| 2023 | 16.52 | 13.49 | 24.11 | 12.90 | 6.33 |
| 2024 | 3.78 | 3.81 | 6.73 | 7.84 | 5.74 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-15 | 2011-02-15 | -52.53 | 1220 |
| 2020-02-20 | 2020-11-06 | -36.34 | 261 |
| 2001-05-22 | 2004-10-05 | -36.27 | 1233 |
| 2022-03-30 | 2023-07-21 | -19.19 | 479 |
| 2011-07-08 | 2012-02-02 | -18.61 | 210 |
| 2018-09-24 | 2019-04-03 | -17.70 | 192 |
| 2001-02-02 | 2001-05-15 | -13.71 | 103 |
| 2000-01-11 | 2000-03-31 | -13.70 | 81 |
| 2015-05-22 | 2016-04-15 | -13.06 | 330 |
| 1999-07-19 | 2000-01-07 | -11.32 | 173 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| 2007-07-20 | 2007-09-28 | -8.25 | 71 |
| 2014-01-02 | 2014-04-29 | -7.26 | 118 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| 2020-09-03 | 2020-11-10 | -9.44 | 69 |
| 2000-01-20 | 2000-03-16 | -9.30 | 57 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-03-28 | 2013-10-17 | -51.15 | 4952 |
| 2020-02-19 | 2020-06-04 | -29.87 | 107 |
| 2022-06-09 | 2024-02-08 | -25.26 | 610 |
| 2015-01-23 | 2017-05-31 | -19.50 | 860 |
| 2018-01-29 | 2019-09-23 | -15.05 | 603 |
| 2000-01-04 | 2000-02-09 | -11.52 | 37 |
| 1999-08-24 | 1999-11-05 | -10.90 | 74 |
| 2014-07-01 | 2014-11-04 | -10.07 | 127 |
| 2020-09-03 | 2020-11-23 | -9.10 | 82 |
| 2022-01-05 | 2022-03-03 | -8.84 | 58 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-12-11 | 2011-02-10 | -46.30 | 1158 |
| 2001-05-22 | 2004-11-11 | -37.51 | 1270 |
| 2020-02-18 | 2020-07-31 | -35.60 | 165 |
| 2022-04-21 | 2024-02-23 | -21.42 | 674 |
| 1999-07-19 | 2000-08-11 | -19.32 | 390 |
| 2011-07-08 | 2012-02-16 | -16.90 | 224 |
| 2018-09-21 | 2019-03-20 | -16.19 | 181 |
| 2000-12-29 | 2001-05-15 | -13.13 | 138 |
| 2015-07-17 | 2016-03-16 | -11.03 | 244 |
| 2018-01-29 | 2018-07-05 | -9.10 | 158 |